A METHOD FOR GENERATING INDEPENDENT REALIZATIONS OF A MULTIVARIATE NORMAL STATIONARY AND INVERTIBLE ARMA(p, q) PROCESS (Q3747564)
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scientific article; zbMATH DE number 3984397
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| English | A METHOD FOR GENERATING INDEPENDENT REALIZATIONS OF A MULTIVARIATE NORMAL STATIONARY AND INVERTIBLE ARMA(p, q) PROCESS |
scientific article; zbMATH DE number 3984397 |
Statements
A METHOD FOR GENERATING INDEPENDENT REALIZATIONS OF A MULTIVARIATE NORMAL STATIONARY AND INVERTIBLE ARMA(p, q) PROCESS (English)
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1987
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state-space representation
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generating finite independent realizations
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normal multivariate stationary ARMA(p,q) process
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initial values
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simulation algorithm
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invertibility
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0.8616153
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0.8580879
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0.84970737
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0.84278435
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0.8400008
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0.8361242
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0.83522844
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0.83448225
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